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This paper proposes a notion of viscosity weak supersolutions to build a bridge between stochastic Lyapunov stability theory and viscosity solution theory. Different from ordinary differential equations, stochastic differential equations…
This paper extends the deterministic Lyapunov-based stabilization framework to random hyperbolic systems of conservation laws, where uncertainties arise in boundary controls and initial data. Building on the finite volume discretization…
In this paper, we obtain a stochastic approximation that converges to the viscosity solution of the weighted $p$-Laplace equation. We consider a stochastic two-player zero-sum game controlled by a random walk, two player's choices, and the…
We prove probabilistic well-posedness for a 2D viscous nonlinear wave equation modeling fluid-structure interaction between a 3D incompressible, viscous Stokes flow and nonlinear elastodynamics of a 2D stretched membrane. The focus is on…
The paper is concerned with two-person games with saddle point. We investigate the limits of value functions for long-time-average payoff, discounted average payoff, and the payoff that follows a probability density. Most of our assumptions…
A classical example of a mathematical model for oscillations in a biological system is the Selkov oscillator, which is a simple description of glycolysis. It is a system of two ordinary differential equations which, when expressed in…
We consider a class of elliptic and parabolic problems, featuring a specific nonlocal operator of fractional-laplacian type, where integration is taken on variable domains. Both elliptic and parabolic problems are proved to be uniquely…
This is the first of a series of papers on the interior regularity of fully nonlinear degenerate elliptic equations. We consider a stochastic optimal control problem in which the diffusion coefficients, drift coefficients and discount…
We formulate a path-dependent stochastic optimal control problem under general conditions, for which weprove rigorously the dynamic programming principle and that the value function is the unique Crandall-Lions viscosity solution of the…
We consider dynamic programming problems with finite, discrete-time horizons and prohibitively high-dimensional, discrete state-spaces for direct computation of the value function from the Bellman equation. For the case that the value…
This paper investigates the optimal control problems for the finite-horizon continuous-time Markov decision processes with delay-dependent control policies. We develop compactification methods in decision processes, and show that the…
We apply the stochastic Perron method of Bayraktar and S\^irbu to a general infinite horizon optimal control problem, where the state $X$ is a controlled diffusion process, and the state constraint is described by a closed set. We prove…
We consider a one-dimensional hydrodynamic model featuring nonlocal attraction-repulsion interactions and singular velocity alignment. We introduce a two-velocity reformulation and the corresponding energy-type inequality, in the spirit of…
We study steady solutions to the relativistic Boltzmann equation with hard-sphere interactions in a slab geometry. Under a spatial symmetry assumption in the transverse variables $x_2$ and $x_3$, the problem reduces to a one-dimensional…
We devise a stochastic Hamiltonian formulation of the water wave problem. This stochastic representation is built within the framework of the modelling under location uncertainty. Starting from restriction to the free surface of the general…
We introduce a probabilistic version of the classical Perron's method to construct viscosity solutions to linear parabolic equations associated to stochastic differential equations. Using this method, we construct easily two viscosity (sub…
This work is devoted to the study of the decay of multiscale deterministic solutions of the unforced Burgers' equation in the limit of vanishing viscosity. A deterministic model of turbulence-like evolution is considered. We con- struct the…
This paper studies a robust stochastic control problem with a monotone mean-variance cost functional and random coefficients. The main technique is to find the saddle point through two backward stochastic differential equations (BSDEs) with…
The diffusive viscous wave equation describes wave propagation in diffusive and viscous media. Examples include seismic waves traveling through the Earth's crust, taking into account of both the elastic properties of rocks and the…
This is the full and extended version of the brief note arXiv:1908.00938. A nontrivially solvable 4-dimensional Hamiltonian system is applied to the problem of wave fronts and to the asymptotic theory of partial differential equations. The…